From: Vinit sh iii Sent: 3/14/2014 2:24:19 AM To: [email protected] cc: Paul Morris Subject: Re: Oil options Attachments: graycol.gif Importance: — High Classification: External Communication Tam ona plane to and from tokyo tomorrow next 2-3 days, if u need something otherwise available 24/7 on +447703720599. Vinit Sahni ano Original Message ----- From: Vinit Sahni Sent: 03/13/2014 09:47 PM EDT To: [email protected] Ce: Paul Morris Subject: Fw: Oil options Classification: External Communication Jeffrey - apologise if this long to execute next time we'll be much quicker. Nav Gupta n--- Original Message ----- From: Nav Gupta Sent: 03/12/2014 09:35 PM GDT To: "[email protected]" <[email protected]> Ce: Tazia Smith; Paul Morris/db)/ (i i i iii Vinit Sahni/db/ Subject: Oil options Jeffrey Just got off the phone with Vinit. DB stopped marketmaking OTC oil options - for short dated I'd go for exch traded - better liquidity and lower transaction costs in and out. My central scenario - Kerry Lavrov meeting Friday will be a bust and the Crimea referendum this weekend will result in "yes" given the 59pct ethic Russian makeup. Sunday/ Monday sanction rhetoric from ranging from g8 expulsion to Iran-style bank embargo is raised a notch. Russia follows with more threats of counter-sanctions. My sense is the Obama 5m of 696m SPR release is to show Merkel and co he will step in. He needs to because there are 8 small European and Baltic countries that rec 70%+ of their gas from Russia. Germany gets 30%. Cross asset correlations outside of the US are increasing past few days - eg copper and the Turkish lira hourly charts are on top of each other past 4 days. I'm worried there is a 30-40pct(?) chance of a hard risk off move in markets in first half of next week - more focused on European equities, copper, EM FX (Turkey, ZAR, Ruble etc) than SPX. In that scenario oil is way up. Exchange WTI calls - there are 2 options (as of 3pm est): 5day expiry 17march 2014 underlying clj4 97.92 and 35d expiry 16april2014 underlying clk4 97.59 ** The 5 day options are a bit short - one possibility is sell a 3usd out of the money put (95.5 strike) for 20cents and buy a 2usd OTM 100 call for 25. Net pay 5cents. But 5d is a bit short for me. **For 35d expiry You could look at selling 91.50 (6usd OTM put) for 56cents and buying 103c (5.5usd OTM) for 58cents or the 102c (4.5usd OTM) for 76cents. HOUSE_OVERSIGHT_022260

CL1 <comdty> OMON on Bloomberg has live strikes and bid/ask. If 5d is too short and 35d 1s too long / not enough gamma, Tazia may be able to source liquidity from the street. Am Cc'ing her for any live pricing or additional comment Best Nav This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. Please refer to http://www.db.com/en/content/eu_disclosures.htm for additional EU corporate and regulatory disclosures and to http://www.db.com/unitedkingdom/content/privacy.htm for information about privacy. HOUSE_OVERSIGHT_022261